DS7 made one on our Oct '10 HHI trip. It's just your basic fleece pillow. The kids get to pick 2 large pieces of fleece (they have dozens of different patterns). They cut the sides of the fleece all around except for one. Then the pieces are tied together. A CM stuffs the pillow and then they finish tying the open end. And voila! You have a little souvenir. DS7 really enjoyed making his (though Mommy did a lot of it to move the process along). He still has the pillow on his bed here at home. It's a cheap, fun way to spend an hour or so.
I helped my DD3 make one in Nov and she adores it! She chose Little Mermaid fleece. They have tons of characters, sports, animals, etc. It is a long, rectangular pillow. My DS 2 loved his sister's so much I had to go out and buy the materials at home to make him a Buzz one!